Congrats on your new lil one.
Cetan is so right. Don't put him in the same room as your tiels, quarantine is very important. One never knows if your new one has an unseen illness just yet and you wouldn't want to expose your teils to it.
New budgies are often little birdie statues at first. They're just too scared to move. Give him a few days to get used to his new home, and like Cetan said..talk to him softly and move very slowly around him.
Often times they are eating but you just don't see them. Check his food dish, if there are empty seed hulls he is eating. They do sometimes go a day or so without eating tho and yes it makes you nervous! *sigh
I found that it helps to put some seed mix in a shallow dish or on a plate on the cage floor for new ones because a lot of pet stores feed them on the cage bottom. Also like Cetan mentioned, put a dish up higher, closer to where he is hanging out right now.
They do like to have a nite light on at night so as not to be in complete darkness
Does s/he have a name yet??